Block 4 presentation and R scripts

• Download presentation slides for Block 5
• Download R scripts for Block 5 (zip)

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R scripts for seminars - outline of Block 4

1) IVR_mroz.R

• Wooldridge: Introductory Econometrics, 5th Edition, Example 15.1, 15.5, 15.7
• Aim: discussion of instrumental variable, comparison of OLS and IV estimator, 2SLS estimator, testing for endogeneity

2) IVR_wage2.R

• Wooldridge: Introductory Econometrics, 5th Edition, Example 15.2
• Aim: discussion of instrumental variable, comparison of OLS and IV estimator

3) IVR_bwght.R
+Wooldridge: Introductory Econometrics, 5th Edition, Example 15.3

• Aim: discussion of instrumental variable, comparison of OLS and IV estimator

4) IVR_card.R

• Wooldridge: Introductory Econometrics, 5th Edition, Example 15.4
• Aim: discussion of instrumental variable, comparison of OLS and IV estimator

5) SEM_mroz.R

• Wooldridge: Introductory Econometrics, 5th Edition, Example 16.3, 16.5, Computer excercise C16.2
• Aim: estimation of an SEM model, endogeneity of regressors, interpretation of estimated coefficients

6) SEM_openness.R

• Wooldridge: Introductory Econometrics, 5th Edition, Example 16.4, 16.6, Computer excercise C16.3
• Aim: estimation of an SEM model, endogeneity of regressors, interpretation of estimated coefficients

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Seminar & self-study R scripts for Block 4

IVRvsOLS.qmd

• Cameron and Trivedi, Microeconometrics, 2005, amended from Example 4.8.8.
• Aim: Compare finite sample and asymptotic properties of OLS and IVR estimators with an endogenous regressors (based on simulated data)

SEM_gas.R

• Aim: SEMs specification and identification of individual equations

SEM_Klein.R

• Aim: Estimation of the Klein (1950) model “Model I”

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